Table 4 Estimated short run and long run...

Table 4

Estimated short run and long run parameters of the symmetric ARDL and asymmetric ARDL (NARDL) models

	ARDL (3,2,2,0,0)		NARDL (3,2,2,0,0,0)
Panel A
Short run coefficients
$c o n s t a n t$	11.40^***	1.26	11.77^***	1.23
$∆ {G D P}_{t - 1}$	0.20^**	0.09	0.18^**	0.09
$∆ {G D P}_{t - 2}$	0.26^***	0.08	0.26^**	0.08
$∆ G$	0.04	0.03	0.03	0.03
$∆ G_{t - 1}$	0.14^***	0.03	0.17^***	0.03
$∆ M$	0.05^*	0.03	0.03	0.03
$∆ M_{t - 1}$	−0.11^***	0.03	−0.11^***	0.03
$D_{73}$	−0.02^**	0.009	−0.02^**	0.00
$D_{79}$	0.017^*	0.01	0.01	0.01
$D_{90}$	0.02^**	0.009	0.02^**	0.00
$D_{2007}$	0.01	0.008	0.01	0.008
ECT_t−1	−0.65^***	0.07	−0.61^***	0.06
Panel B
Long run coefficients
G	−0.07^*	0.03	−0.14^**	0.06
M	0.24^***	0.01	0.25^***	0.01
Poil	0.02^*	0.01	0.017	0.01
REER	0.077^***	0.02
REER⁺			−0.0001	0.05
REER⁻			0.105^***	0.02
Diagnostic tests
A: Serial correlation	$χ^{2} (2) = 2.55$		$χ^{2} (2) = 2.28$
A: Serial correlation	P value (0.27)		P value (0.31)
B: Heteroskedasticity	$χ^{2} (16) = 13.93$		$χ^{2} (17) = 16.21$
B: Heteroskedasticity	P value (0.60)		P value (0.50)
C: Functional form	F (1,40) = 3.39		F (1,39) = 0.59
RESET test	P value (0.07)		P value (0.44)
D: Normality	Jarque-Bera = 2.78		Jarque-Bera = 1.93
D: Normality	P value (0.24)		P value (0.38)
	R² = 0.99		R² = 0.99
	Adjusted R² = 0.99		Adjusted R² = 0.99

	ARDL (3,2,2,0,0)		NARDL (3,2,2,0,0,0)
Panel A
Short run coefficients
$c o n s t a n t$	11.40^***	1.26	11.77^***	1.23
$∆ {G D P}_{t - 1}$	0.20^**	0.09	0.18^**	0.09
$∆ {G D P}_{t - 2}$	0.26^***	0.08	0.26^**	0.08
$∆ G$	0.04	0.03	0.03	0.03
$∆ G_{t - 1}$	0.14^***	0.03	0.17^***	0.03
$∆ M$	0.05^*	0.03	0.03	0.03
$∆ M_{t - 1}$	−0.11^***	0.03	−0.11^***	0.03
$D_{73}$	−0.02^**	0.009	−0.02^**	0.00
$D_{79}$	0.017^*	0.01	0.01	0.01
$D_{90}$	0.02^**	0.009	0.02^**	0.00
$D_{2007}$	0.01	0.008	0.01	0.008
ECT_t−1	−0.65^***	0.07	−0.61^***	0.06
Panel B
Long run coefficients
G	−0.07^*	0.03	−0.14^**	0.06
M	0.24^***	0.01	0.25^***	0.01
Poil	0.02^*	0.01	0.017	0.01
REER	0.077^***	0.02
REER⁺			−0.0001	0.05
REER⁻			0.105^***	0.02
Diagnostic tests
A: Serial correlation	$χ^{2} (2) = 2.55$		$χ^{2} (2) = 2.28$
A: Serial correlation	P value (0.27)		P value (0.31)
B: Heteroskedasticity	$χ^{2} (16) = 13.93$		$χ^{2} (17) = 16.21$
B: Heteroskedasticity	P value (0.60)		P value (0.50)
C: Functional form	F (1,40) = 3.39		F (1,39) = 0.59
RESET test	P value (0.07)		P value (0.44)
D: Normality	Jarque-Bera = 2.78		Jarque-Bera = 1.93
D: Normality	P value (0.24)		P value (0.38)
	R² = 0.99		R² = 0.99
	Adjusted R² = 0.99		Adjusted R² = 0.99

Note(s): A: Lagrange multiplier test of residual serial correlation; B: based on the regression of squared residuals on squared fitted values; C: Ramsey's RESET test using the square of the fitted values; D: based on a test of skewness and kurtosis of residuals

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